In this paper we analyze the dynamics of the diffusion bridges (or tied-down diffusion processes), derived from time-non-homogeneous linear diffusion processes. For the Ornstein-Uhlenbeck and the Feller-type diffusion bridges, the distribution of first passage time through particular boundaries is determined.
On Some Time-non-Homogeneous Linear Diffusion Processes and Related Bridges / Buonocore, Aniello; Caputo, Luigia; A. G., Nobile; Pirozzi, Enrica. - In: SCIENTIAE MATHEMATICAE JAPONICAE. - ISSN 1346-0862. - 76:1(2013), pp. 55-77.
On Some Time-non-Homogeneous Linear Diffusion Processes and Related Bridges
BUONOCORE, ANIELLO;CAPUTO, LUIGIA;PIROZZI, ENRICA
2013
Abstract
In this paper we analyze the dynamics of the diffusion bridges (or tied-down diffusion processes), derived from time-non-homogeneous linear diffusion processes. For the Ornstein-Uhlenbeck and the Feller-type diffusion bridges, the distribution of first passage time through particular boundaries is determined.File in questo prodotto:
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